Funds Transfer Pricing Foundations

In this quick blog posting I am sharing the Funds Transfer Pricing presentation I delivered at the 7th Annual Risk and Liquidity Conference in Singapore.

Market Risk Implied or Inherent

To extend on from our previous article on inherent risk [ LINK ] we will dive a little bit deeper into the importance of inherent risk using an example from the domain of market risk measurement.
  

31000 Frameworks for Market Risk

A recent discussion on the G31000 risk forum opened up an interesting debate that ISO 31000 doesn't really include explicit detailing on how to treat market risk, credit risk or whether it is or should be enterprise risk wide at all.

We have taken to write this posting as a complete whitepaper that shows how to apply ISO 31000 to a firm wide market risk requirement.

In this blog we share the 31000 Risk Framework whitepaper for market risk [LINK].

Performance and VaR Together

A lot of market risk analysts often question how they can compare risk with return or the relevance of tracking error in the context of Value at Risk and performance reporting together.

In this short blog posting, I link to a presentation which explains how performance reporting, risk measurement and tracking error may be delivered side-by-side.

PV01 vs Historical VaR

The world of fixed income is very much impacted by PV01, yet Market Risk analysts hang onto historical Value at Risk as if it is the be all for measuring potential downside. In my opinion this is a bit busted and I will explain why in this short blog post.